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Analyses of structuring EFRP transactions

Keywords:

V. V. Kalmykov – Post-graduate Student, Financial Univarsity under the Gouverment of the Russian Federation. E-mail: Whiteraven33@ya.ru


Recent changes in regulatory framework of structuring OTC derivative transactions gave positive effect. Tightening of regulation and implementation of strict rules and prohibitions on the international level gave more certainty to markets. Economic agents, however, lose most of existing possibilities for arbitrage on the OTC markets, liquidity flows turned into regulated centralized markets, which nowadays provide more stability, certainty, not to speak of unified clearing via central counterparties. That is why investors interest to instruments, which could be used in order to transfer existing OTC positions into regulated market rose exponentially. This article examines key characteristics of such instrument – EFRP transaction.
References:

  1. Mahajan R. Futures and Options Introduction to Equity derivatives. 2011.
  2. Parameswaran S.K. Futures and Options: Concepts and Applications. Tata McGraw – Hill Education. 2009.
  3. Uri D.L. On the term structure of interest rates // Journal of Financial Economics. 1978. № 6. R. 59-69.
  4. Exchange for related positions. CME Group. 2010: http://www.cmegroup.com/rulebook/files/RA1006-5.pdf.

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